Hi @NNath
Your safest approach is to scale the mean and volatility separately, because you can't scale them after they are combined. I think we identified an error in this question, see https://forum.bionicturtle.com/threads/2013-garp-exam-practice-quesiton.9110/
Here is the XLS, I just added a daily column, https://www.dropbox.com/s/r12ictk7uv8hr4y/0407-garp-2013-p2-q2.xlsx?dl=0
notice i first did:
- daily drift = 10%/sqrt(250)
- daily vol = 40%/sqrt(250). I don't think there is a shortcut, I hope that helps!
@nitin3000I had the same doubt as frmqiu above. It looks like the 2016 answer sheet is using a wrong formula for Log normal VAR